Speed Matters: Limited Attention and Supply-Chain Information Diffusion

Speaker: Prof. Michael Hertzel (Arizona State University)

Topic:	Speed Matters: Limited Attention and Supply-Chain Information Diffusion
Time&Date:	1:00-2:15 pm, 2018/11/2 (Friday)
Venue:	Room 619, Teaching A
Speaker:	Prof. Michael Hertzel (Arizona State University)
Abstract:	Using the methodology introduced in Mech (1993) and formalized in Hou and Moskowitz (2005), we develop a measure of the speed of information diffusion along the supply chain. Using this measure, we find evidence that information diffuses more quickly when key market participants are less subject to limited attention constraints. Specifically, we find that the speed of information diffusion from customer to supplier stock returns is more rapid when analysts dual-cover, brokerage firms dual-cover, and institutional investors cross-invest in the supplier and its principal customer. We rely on exogenous shocks to attention from regional flu epidemics to establish causality. We demonstrate that our speed measure is useful in identifying customer momentum strategies and can be of value to managers who use information in stock prices to guide corporate decisions.